Indifference prices of structured catastrophe (CAT) bonds
نویسندگان
چکیده
منابع مشابه
Indifference Prices of Structured Catastrophe (CAT) Bonds
We present a method for pricing structured CAT bonds based on utility indifference pricing. The CAT bond considered here is issued in two distinct notes called tranches, specifically senior and junior tranches each with its own payment schedule. Our contributions to the literature of CAT bond pricing are two-fold. First, we apply indifference pricing to structured CAT bonds. We find a price for...
متن کاملSecuritizing peanut production risk with catastrophe ( CAT ) bonds
--A catastrophe (CAT) bond is designed for peanut production as a means of transferring natural disaster risks from insurance purveyors to the global capital market. The CAT bond so designed is priced using state-level historical yields for peanut production in the southern part of the United States in the State of Georgia. The index triggering the CAT bond contract was based on percent deviati...
متن کاملUtility indifference pricing of insurance catastrophe derivatives
We propose a model for an insurance loss index and the claims process of a single insurance company holding a fraction of the total number of contracts that captures both ordinary losses and losses due to catastrophes. In this model we price a catastrophe derivative by the method of utility indifference pricing. The associated stochastic optimization problem is treated by techniques for piecewi...
متن کاملCatastrophe Risk Bonds
We examine the pricing of catastrophe risk bonds. Catastrophe risk cannot be hedged by traditional securities and thus the pricing of catastrophe risk bonds must be examined in an incomplete markets setting and therefore entails special difficulties in the pricing methodology. We present techniques for pricing these bonds and discuss this theory in the context of equilibrium pricing and its rel...
متن کاملIndifference Prices and Related Measures
The traditional approach towards derivative pricing consists of dynamically replicating a future liability by trading the assets on which that liability is written. However, the assumption that one can trade the assets is often rather restrictive. In some cases, say of options on commodities or funds, one can at best trade another correlated asset. In others, as in the case of basket options, e...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Insurance: Mathematics and Economics
سال: 2008
ISSN: 0167-6687
DOI: 10.1016/j.insmatheco.2007.08.004